Pining means you notify the search engines that your blog has been just updated with new content or a change in theme etc. This is now done automatically from your wordpress dashboard.
Blogs are keenly and frequently spidered by search engines and pining is said to be useful to get the blog post indexed quickly.
Here is a report by one of my blogging friends.
I have tested by only using a blog as the front page of a new information site I started. http://www.informationpagesonline.com has only been advertised by way of the blog to announce new content, and then pinged through http://www.pingoat.com which distributes the blog entries to several large ping sites.
Following a week of adding content, and then posting an announcement of the new content to the blog on the front page and pinging with pingoat, the site seems to be getting visitors to most of the sections, which I can see from the log files. I can also see some of the traffic is coming from search engines, and also a lot of spider activity can be seen on the site, where the search engines are crawling the content.
So I have to conclude that blogging and pinging is a way of getting listed on search engines, or at least of getting noticed by them quickly.
Should you be blogging and pinging?
Of course that's up to you, but for the time it takes, it may be worth trying blog and ping for yourself and tracking the results.